Not every computer has a CD drive (though most do, nowdays).

CD´s are different from hard drives in that you can remove the CD disk, and insert another.  A hard drive is a fixed, sealed unit.

Also, CD´s store about 650MB of data, while most hard drives store many times that amount.

CD´s are currently being replaced by DVD´s (they look identical, as do the DVD disks).  However, DVD´s can store many times the amount of data that is possible with a CD.

Most software today is produced on CD, simply because of the amount of data they can store, and because they are so cheap to produce.